MRVL Options History — April 2015

In April 2015, MRVL traded between $14.01 and $15.40. ATM implied volatility averaged 38.5%, placing in the 66.7% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 15.7% (HV 20d: 22.8%). Max pain ranged from $14.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2015-04-24: Highest Volume — 30,049 contracts
  • 2015-04-02: Largest IV drop — 6.4% change
  • 2015-04-01: Highest IV Rank — 84.2%
  • 2015-04-01: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.82$14.01$15.40$14.94$14.01
Max Pain$14.88$14.50$15.00$14.50$14.50
ATM IV38.5%36.6%42.5%42.5%37.8%
Expected Move10.6%9.3%13.8%13.8%9.7%
HV 20d22.8%18.1%25.3%22.1%18.1%
HV 60d21.4%19.6%25.4%25.4%19.6%
IV Rank66.7%58.4%84.2%84.2%63.9%
IV Percentile83.4%75.0%97.6%97.6%78.2%
Term Structure-0.9%-6.4%1.3%-1.5%-1.0%
VWIV39.6%34.9%56.8%56.8%36.1%
Skew 25d-1.5%-4.2%2.7%-3.7%-0.3%
Skew 10d-3.9%-11.1%9.9%-9.3%-0.8%
Call IV 25d41.2%38.8%47.0%47.0%39.8%
Put IV 25d39.8%36.4%43.2%43.2%39.6%
Bid-Ask Spread %9.195.6912.6012.385.69
Gamma HHI0.250.170.370.170.27
Net GEX4.3M1.7M6.5M4.5M2.9M
Net DEX-51.0M-86.3M-10.6M-58.6M-10.6M
Net VEX-331.5K-377.5K-296.7K-347.7K-299.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.101.470.250.36
Total Volume16,213.1438,05930,04922,23014,559
Total OI227,689.286190,505259,531223,066220,247

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$14.94$14.5042.5%13.8%22.1%84.2%56.8%-3.7%-1.5%4.5M-58.6M-347.7K0.2512.3817,7814,449182,89240,174
2015-04-02$14.79$15.0039.8%10.7%20.9%72.3%40.9%-3.4%-2.0%4.1M-48.3M-324.1K0.2911.8812,2213,583188,95141,337
2015-04-06$14.97$15.0040.9%11.3%21.5%77.3%40.3%-2.9%-2.0%4.8M-62.7M-329.6K0.3811.7711,3574,288188,29040,287
2015-04-07$15.07$15.0038.6%11.4%21.9%67.3%42.5%-0.9%1.3%5.4M-71.1M-340.2K0.4012.3513,6575,512193,73741,701
2015-04-08$15.00$15.0037.9%10.6%21.7%64.2%39.0%-3.5%-0.0%5.4M-62.3M-326.3K0.1012.608,957921197,16043,720
2015-04-09$15.40$15.0037.2%10.7%24.2%61.1%41.2%-3.9%0.4%6.5M-86.3M-329.2K0.317.5011,1073,465199,16444,408
2015-04-10$15.27$15.0036.8%10.6%24.3%59.6%41.1%-2.9%0.1%6.2M-77.1M-324.4K0.608.775,5083,311200,44644,919
2015-04-13$15.24$15.0038.6%11.1%24.2%67.1%41.0%-3.6%0.8%5.9M-74.0M-296.7K0.749.9114,42210,745191,95740,319
2015-04-14$15.15$15.0036.9%10.6%24.3%59.7%40.9%-4.2%1.0%5.4M-70.7M-357.1K1.0012.149,8759,831203,94448,205
2015-04-15$15.36$15.0036.8%10.6%24.4%59.6%38.8%-3.8%0.2%5.7M-81.9M-352.8K0.509.4412,1276,056205,01148,277
2015-04-16$15.30$15.0038.1%10.9%24.2%65.1%43.7%-2.5%0.3%4.6M-80.5M-377.5K0.559.3510,8445,993207,87451,657
2015-04-17$15.00$15.0038.3%10.8%25.1%65.9%40.3%-1.6%0.7%1.7M-57.1M-358.9K0.258.6322,5205,675206,67151,974
2015-04-20$15.01$15.0038.6%10.2%25.1%67.1%36.2%1.4%-3.3%4.0M-49.9M-347.1K0.428.6210,9384,582148,37642,129
2015-04-21$14.96$15.0038.5%10.0%24.9%67.0%36.1%-2.0%-2.5%4.0M-48.3M-342.5K0.498.998,9174,341153,32143,642
2015-04-22$14.74$15.0036.6%10.1%25.3%58.4%36.3%0.1%0.5%3.8M-40.1M-343.6K0.548.548,2854,489159,10544,121
2015-04-23$14.54$15.0038.6%9.7%21.7%67.5%35.0%2.0%-4.3%3.3M-29.6M-334.6K1.465.773,2784,781161,91744,906
2015-04-24$14.28$15.0040.8%10.8%22.2%76.9%37.7%2.7%-6.4%2.8M-17.1M-308.6K0.508.5720,0659,984162,46145,814
2015-04-27$14.08$14.5038.8%9.9%21.3%67.9%35.3%0.8%-1.0%3.2M-15.3M-312.1K1.477.884,5306,645167,78147,924
2015-04-28$14.11$14.5037.8%9.7%21.4%63.9%34.9%0.2%-0.0%3.2M-16.1M-307.6K0.746.125,9214,391168,47548,295
2015-04-29$14.07$14.5038.1%9.3%19.2%65.3%37.5%1.1%-0.6%3.2M-14.0M-301.3K0.556.056,8343,731170,94148,945
2015-04-30$14.01$14.5037.8%9.7%18.1%63.9%36.1%-0.3%-1.0%2.9M-10.6M-299.6K0.365.6910,6793,880170,98449,263